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Supply contracting under dynamic asymmetric cost informationl
Di Corato, Luca; Moretto, Michele - 2024
We consider a long-term contractual relationship in which a buyer procures a fixed quantity of a product from a supplier and then sells it on the market. The production cost is private information and evolves randomly over time. The solution to this dynamic principal-agent problem involves a...
Persistent link: https://www.econbiz.de/10014478916
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Existence and uniqueness of solutions to the Bellman equation in stochastic dynamic programming
Rincón-Zapatero, Juan Pablo - 2022 - This Version: March 7, 2022
Persistent link: https://www.econbiz.de/10013449090
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Diversification benefits of commodities : a stochastic dominance efficiency approach
Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016
We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...
Persistent link: https://www.econbiz.de/10011473894
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...
Persistent link: https://www.econbiz.de/10013258038
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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On some portfolio selection criteria of Elton, Gruber and Padberg : a compact reformulation
Jensen, Bjarne Astrup - 1997
Persistent link: https://www.econbiz.de/10000977546
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Dynamic asset allocation and fixed income management
Sørensen, Carsten - 1998
Persistent link: https://www.econbiz.de/10000988700
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Past performance evaluation in repeated procurement : a simple model of handicapping
Albano, Gian Luigi (contributor);  … - 2008
. We consider a stylized repeated procurement framework in which a buyer awards a contract over time to two firms with …When procurement contracts are awarded through competitive tendering participating firms commit ex ante to fulfil a set …
Persistent link: https://www.econbiz.de/10003659800
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The determinants of suppliers' performance in e-procurement : evidence from the Italian government's e-procurement platform
Albano, Gian Luigi; Dini, Federico; Zampino, Roberto; … - 2008
also commonly held that the adoption of e-procurement solutions can be effective in pursuing such an objective. To this end …, we analyze the transactions completed in the period 2004-2007 through the Italian Government's e-procurement platform …, that is, the marketplace managed by the Italian Public Procurement Agency (Consip S.p.A.). Although descriptive statistics …
Persistent link: https://www.econbiz.de/10008700099
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Mean-variance vs. full-scale optimization : broad evidence for the UK
Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2008 - Rev.
Persistent link: https://www.econbiz.de/10003740612